Investment Factor Timing: Harvesting The Low-Risk Anomaly Using Artificial Neural Networks
“The strategy succeeds in differentiating positive from negative yielding factor investments, and an accordingly constructed investment strategy outperforms every factor individually as well as LASSO and Multilayer Perceptron neural network benchmark models.”
AssetEquities
StrategyQuality factorsfactor investing
TechniqueRecurrent neural networkfeedforward network
ClaimExcess return
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodQuality and profitability factors by year
FamilyQuality and profitability factors25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities18
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